THE EFFECTS OF INFLATION, OUTPUT AND EXCHANGE RATE GAPS ON INTEREST RATE: ANALYSIS OF ASYMMETRIC RELATIONSHIPS WITHIN THE FRAMEWORK OF THE AUGMENTED TAYLOR RULE

Serhat Alpağut

Makale detayları

THE EFFECTS OF INFLATION, OUTPUT AND EXCHANGE RATE GAPS ON INTEREST RATE: ANALYSIS OF ASYMMETRIC RELATIONSHIPS WITHIN THE FRAMEWORK OF THE AUGMENTED TAYLOR RULE

Yazarlar:

Serhat Alpağut

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Makro İktisat (Diğer)

Dergi:

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Vol.26 Issue 4, pp.1646-1666

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001332845

pISSN:

1308-0911

Anahtar kelimeler:

Özet:

 This study examines the impact of inflation, output and exchange rate gaps on interest rates within the framework of the augmented Taylor rule. The analysis was carried out for Türkiye using the NARDL method and data for the period 2013Q1-2023Q4. In evaluating the results of the study, firstly, an asymmetric relationship was found between the inflation gap and the exchange rate gap and the policy rate. Secondly, it was found that there is a long-run relationship between inflation, output and exchange rate gaps and the interest rate. Third, in the long run, increases in inflation lead to increases in interest rates. Inflation and output gaps have a positive effect on interest rates, while exchange rate gaps have a negative effect. The fact that positive and negative shocks to exchange rate gaps negatively affect interest rates suggests that the central bank takes inflation and output into account when setting interest rates, but not exchange rate gaps. This issue limits the validity of the augmented Taylor rule in the Turkish economy. It is recommended that the CBRTs monetary policies be re-evaluated according to the effects of exchange rate fluctuations and external shocks, and that policies be implemented based on rules.

 This study examines the impact of inflation, output and exchange rate gaps on interest rates within the framework of the augmented Taylor rule. The analysis was carried out for Türkiye using the NARDL method and data for the period 2013Q1-2023Q4. In evaluating the results of the study, firstly, an asymmetric relationship was found between the inflation gap and the exchange rate gap and the policy rate. Secondly, it was found that there is a long-run relationship between inflation, output and exchange rate gaps and the interest rate. Third, in the long run, increases in inflation lead to increases in interest rates. Inflation and output gaps have a positive effect on interest rates, while exchange rate gaps have a negative effect. The fact that positive and negative shocks to exchange rate gaps negatively affect interest rates suggests that the central bank takes inflation and output into account when setting interest rates, but not exchange rate gaps. This issue limits the validity of the augmented Taylor rule in the Turkish economy. It is recommended that the CBRTs monetary policies be re-evaluated according to the effects of exchange rate fluctuations and external shocks, and that policies be implemented based on rules.

 This study examines the impact of inflation, output and exchange rate gaps on interest rates within the framework of the augmented Taylor rule. The analysis was carried out for Türkiye using the NARDL method and data for the period 2013Q1-2023Q4. In evaluating the results of the study, firstly, an asymmetric relationship was found between the inflation gap and the exchange rate gap and the policy rate. Secondly, it was found that there is a long-run relationship between inflation, output and exchange rate gaps and the interest rate. Third, in the long run, increases in inflation lead to increases in interest rates. Inflation and output gaps have a positive effect on interest rates, while exchange rate gaps have a negative effect. The fact that positive and negative shocks to exchange rate gaps negatively affect interest rates suggests that the central bank takes inflation and output into account when setting interest rates, but not exchange rate gaps. This issue limits the validity of the augmented Taylor rule in the Turkish economy. It is recommended that the CBRTs monetary policies be re-evaluated according to the effects of exchange rate fluctuations and external shocks, and that policies be implemented based on rules.

 Bu çalışmada enflasyon, çıktı ve döviz kuru açıklarının faize etkisi, genişletilmiş Taylor kuralı çerçevesinde incelenmiştir. 2013Q1-2023Q4 dönemi verileriyle ve NARDL yöntemi kullanılarak Türkiye üzerine analiz gerçekleştirilmiştir. Çalışmanın bulguları değerlendirildiğinde ilk olarak enflasyon açığı ve döviz kuru açığı ile politika faizi arasında asimetrik ilişki tespit edilmiştir. İkinci olarak enflasyon, çıktı ve döviz kuru açığı ile faiz oranı arasında uzun dönemli bir ilişki olduğu tespit edilmiştir. Üçüncü olarak uzun dönemde enflasyondaki artışların faizde artışa neden olduğu tespit edilmiştir. Enflasyon açıkları ve çıktı açıkları faizi pozitif etkilerken döviz kuru açıkları faizi negatif etkilemektedir. Döviz kuru açıklarında pozitif ve negatif şokların faizi negatif etkilemesi Merkez Bankasının faizi belirlerken enflasyon ve çıktıyı dikkate aldığı fakat döviz kuru açıklarını dikkate almadığına işaret etmektedir. Bu husus Türkiye ekonomisinde genişletilmiş Taylor kuralının geçerliliğini sınırlamaktadır. TCMBnin para politikalarının, döviz kuru dalgalanmalarının ve dışsal şokların etkilerine göre yeniden değerlendirilmesi, politikaların kurala dayalı gerçekleştirmesi önerilmektedir.

Makale detayları

THE EFFECTS OF INFLATION, OUTPUT AND EXCHANGE RATE GAPS ON INTEREST RATE: ANALYSIS OF ASYMMETRIC RELATIONSHIPS WITHIN THE FRAMEWORK OF THE AUGMENTED TAYLOR RULE

Yazarlar:

Serhat Alpağut

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Makro İktisat (Diğer)

Dergi:

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Vol.26 Issue 4, pp.1646-1666

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001332845

pISSN:

1308-0911

Taylor Rule

Monetary Policy

Inflation Gap

Exchange Rate Gap

Output Gap

Interest RatePara Politikası

Enflasyon Açığı

Döviz Kuru Açığı

Çıktı Açığı

Faiz

Taylor Kuralı

Sayı

Makale detayları

Yazarlar: Serhat Alpağut

Yayıncı: Dokuz Eylul University

Ana Başlıklar: Makro İktisat (Diğer)

Dergi: Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Vol.26 Issue 4, pp.1646-1666

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001332845

pISSN: 1308-0911

Sayı

Yazarlar:

Serhat Alpağut

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Makro İktisat (Diğer)

Dergi:

Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Vol.26 Issue 4, pp.1646-1666

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001332845

pISSN:

1308-0911